On the distribution of the adaptive LASSO estimator

DOI10.1016/j.jspi.2009.01.003zbMath1162.62063arXiv0801.4627OpenAlexW2131679483MaRDI QIDQ1022011

Ulrike Schneider, Benedikt M. Pötscher

Publication date: 9 June 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.4627

zbMATH Keywords

asymptotic distributionoracle propertyLASSOuniform consistencyadaptive LASSOpenalized maximum likelihoodestimation of distributionsfinite-sample distributionnonnegative garotte

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05)

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